Interest Rates Trading Tools and Resources
AG Update
EQ Roll Analyzer
IR Options Report
FX Pace of Roll
 

 

CME Group Tools by Asset Class
Order Execution Dashboard Tool
This tool offers the opportunity to assess market impact costs of order execution strategies, by easily comparing and contrasting the implications of different order quantity placement times vs. potential outcomes.
Options Open Interest Profile Tool
This tool provides options traders the opportunity to analyze open interest patterns of various Interest Rate options. Developed specifically to profile open interest in the context of our financial options products, the tool provides the ability to monitor open interest trends and tendencies, and provides actionable information.
Options Expiration Calendars
The 2012 Interest Rate Options Expiration Calendars feature a list all of the Weekly, Serial and Quarterly expirations through all of 2012.
Liquidity Analytics Tool
Interactive tool designed to provide quantitative, timely, and useful data for improving order execution strategies.
Treasury Futures Pace of the Roll
Illustrates daily progression of Treasury futures open interest - designed to help market participants analyze their Treasury futures roll strategy.
Empirical Duration
Provides a convenient way to estimate a Treasury futures price for a given change in yield.
CME Group Yield Center
Displays yield, DV01, and hedge ratio data for On-The-Run Treasury futures and Interest Rate Swap futures, as well as the intercommodity spreads based on these contracts.
Treasury Futures Conversion Factors
Current conversion factors for Treasury futures-updated after each Treasury auction
Live Treasury and Swap Spread Quotes
Live quotes on intercommodity spreads between U.S. Treasury and Interest Rate Swap futures
Treasury and Swap Spread Implied Intercommodity Spreads
Has links to the current implied spread ratios as well as the "ICS Curve Tracker,", to track ICS spreads as a weighted average of the two legs, rather than the net change.
Interest Rate Liquidity Report
Snapshot of volume, open interest and market depth of interest rate products
Market Maker Contact Information
Allows customers to register to receive a list of interest rate (as well as EQ and FX) market maker contacts
Treasury Futures Price-Yield Tables
Provides an estimate of how a given futures prices would convert to a yield, and vice versa.
Treasury Futures Conversion Factor Look-up Tables
Makes cash to futures, or futures to cash , price conversions
Treasury Futures Conversion Factor Calculator
Tool for calculating conversion factors.
Sovereign Yield Spread Futures Reference Bond Tables
Displays contract-grade securities for the upcoming delivery months
Sovereign Yield Spread Futures Historical Data
Provides hypothetical historical daily fair value prices and historical median Reference Bonds for Sovys futures
FedWatch
Gauge the market's expectations of potential changes to the fed funds target rate. Based on the 30-Day Fed Funds futures benchmark contract.
Monthly Interest Rate Options Report
Monthly overview of interest rate options volume by venue and time zone
Quarterly Interest Rate Update
Trading summary of Interest Rate products at CME Group, including product updates and highlights.
Swap Futures 4% Price-Yield Tables
Provides implied swap rates, DV01, and convexity for a given swap futures price.
 
 
 
 
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About Tools & Resources
A complete listing of interactive trading tools and resources to enhance your understanding of CME Group futures and options products across all asset classes - Agriculture, Energy, Equity, FX, Interest Rates and Metals. The tools are separated by asset class, and accompanied by a description.
FedWatch and Duration Tools